If a portfolio have 40% UK stock and 60% euro stock , the duration of uk stock is 7 and the duration of euro stock is 5, the correlation between uk and euro stock is 0.55 , find the portfolio value impact on 100 b.p interest rate change ?
This site uses cookies to help personalise content, tailor your experience and to keep you logged in if you register.
By continuing to use this site, you are consenting to our use of cookies.